Around 325 BC, frustrated that his men were slow on the scaling ladders during the siege of a town of the Malli in India, Alexander climbed the wall himself. The ladders broke behind him. Instead of retreating, he jumped down inside the city, alone and with his back to the wall.
He killed the enemy leader and several others. Then an arrow went through his breastplate into his chest. Peucestas stood over him holding the sacred shield Alexander had taken from the temple of Athena at Troy, which was supposedly a relic of the Trojan War.
Leonnatus and Abreas (who was killed) also covered him until the army broke in. The Macedonians, believing their king was dead, massacred the whole town.
The passage below is from "Arrian, The Anabasis of Alexander, Book VI, Chapter IX"